動的価格帯とRSI乖離取引戦略：複数期間移動平均トレンドフィルタリングと動的ポジション管理の最適化

/*backtest
start: 2025-05-07 00:00:00
end: 2025-05-14 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
// Strategy: Box Range with RSI Divergence (Dynamic Adjustment - OKX Signal Format)
// © aws2333
//I'm chinese 
strategy("Kaito  Box with RSI Div(Dynamic Adjustment + MA + Long)", overlay=true,default_qty_type=strategy.percent_of_equity, default_qty_value=10)


rsiOverbought = 80 
rsiOversold = 13   
boxLength = input.int(3, title="Box Length", minval=1) 
rsiLength = input.int(2, title="RSI Length", minval=1) 
divergenceLookback = input.int(2, title="Divergence Lookback Period", minval=1) 
leftLookback = input.int(2, title="Left Lookback", minval=1)  
rightLookback = input.int(2, title="Right Lookback", minval=1) 
var float avgPrice = na       
//var float position_size = 0     

signalToken = input.string("**********", "Signal Token")
enterOrderType = input.string("limit", "Order Type", options=["market", "limit"])
enterOrderPriceOffset = input.float(0.05, "Order Price Offset", minval=0, maxval=100, step=0.01)
enterInvestmentType = input.string("percentage_investment", "Investment Type", options=["margin", "contract", "percentage_balance", "percentage_investment"])
exitOrderType = input.string("limit", "Order Type", options=["market", "limit"])
exitOrderPriceOffset = input.float(0.05, "Order Price Offset", minval=0, maxval=100, step=0.01)
exitInvestmentType = input.string("percentage_position", "Investment Type", options=["percentage_position"])
maxLag = input.float(30, "maxLag")

minEnterPercent = 1.3  
minExitPercent = 0.09  


highestHigh = ta.highest(high, boxLength) 
lowestLow = ta.lowest(low, boxLength)  


plot(highestHigh, title="Upper Box", color=color.new(color.green, 0), linewidth=1, style=plot.style_line)
plot(lowestLow, title="Lower Box", color=color.new(color.red, 0), linewidth=1, style=plot.style_line)


rsi = ta.rsi(low, rsiLength)


isLowestLeft = low < ta.lowest(low[1], leftLookback)  
isLowestRight = low <= ta.lowest(low, rightLookback) 
isLowestClose = isLowestLeft and isLowestRight      

isHighestLeft = low > ta.highest(low[1], leftLookback) 
isHighestRight = low >= ta.highest(low, rightLookback) 
isHighestClose = isHighestLeft and isHighestRight      

lowestClose = ta.lowest(low, divergenceLookback)
lowestRsi = ta.lowest(rsi, divergenceLookback)
highestClose = ta.highest(low, divergenceLookback)
highestRsi = ta.highest(rsi, divergenceLookback)


lowestClosePrev = ta.lowest(low[1], leftLookback)
lowestRsiPrev = ta.lowest(rsi[1], leftLookback)
highestClosePrev = ta.highest(low[1], leftLookback)
highestRsiPrev = ta.highest(rsi[1], leftLookback)



bullishDivergence = isLowestClose and (low < lowestClosePrev) and (rsi > lowestRsiPrev) and (rsi < rsiOversold)
bearishDivergence = isHighestClose and (low > highestClosePrev) and (rsi < highestRsiPrev) and (rsi > rsiOverbought)


ma(source, length, type) =>
    type == "SMA" ? ta.sma(source, length) :type == "EMA" ? ta.ema(source, length) :type == "SMMA (RMA)" ? ta.rma(source, length) :type == "WMA" ? ta.wma(source, length) :type == "VWMA" ? ta.vwma(source, length) :na


custom_timeframe = input.timeframe("3", "Custom time period (leave blank for current period)")


ma_type = input.string("SMA", "Moving average type", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])


ma20_period = input.int(20, "MA20 ", minval=1)
ma50_period = input.int(50, "MA50 ", minval=1)
ma100_period = input.int(100, "MA100 ", minval=1)
ma200_period = input.int(200, "MA200 ", minval=1)


source_close = request.security(syminfo.tickerid, custom_timeframe, close)


ma20 = ma(source_close, ma20_period, ma_type)
ma50 = ma(source_close, ma50_period, ma_type)
ma100 = ma(source_close, ma100_period, ma_type)
ma200 = ma(source_close, ma200_period, ma_type)


up_signal_1 = ma20 > ma200  
up_signal_2 = ma50 > ma200  
up_signal_3 = ma100 > ma200 
up_signal_4 = (high > ma20 and high > ma50 and high > ma100 and high > ma200)
up_trend = (up_signal_1 and up_signal_2 and up_signal_3 and (source_close > ma200)) or up_signal_4 


down_signal_1 = ma20 < ma200  
down_signal_2 = ma50 < ma200  
down_signal_3 = ma100 < ma200 
down_signal_4 = (low < ma20 and low < ma50 and low < ma100 and low < ma200)
down_trend = (down_signal_1 and down_signal_2 and down_signal_3 and (source_close < ma200)) or down_signal_4 




plot(ma20, color=color.yellow, title="MA20")
plot(ma50, color=color.orange, title="MA50")
plot(ma100, color=color.red, title="MA100")
plot(ma200, color=color.maroon, title="MA200")


var float longAddPercent = na 
var float shortAddPercent = na 
roundToFourDecimals(value) => math.round(value * 10000) / 10000

if not na(avgPrice)
    if close < avgPrice
        longAddPercent := roundToFourDecimals(math.max(math.min(math.pow((avgPrice - close)* 1000/5,1.1)  , 100), minEnterPercent)) 
    if close > avgPrice
        longAddPercent := 1
 
    if close == avgPrice
        longAddPercent := 1


if not na(avgPrice)
    if close < avgPrice
        shortAddPercent := 0.01
 
    if close > avgPrice
        shortAddPercent := roundToFourDecimals(math.max(math.min(math.pow((close - avgPrice)*1000,1.1), 100), minExitPercent)) 
    if close == avgPrice
        longAddPercent := 1


longSignal = (close <= lowestLow) and bullishDivergence
shortSignal = (close >= highestHigh) and bearishDivergence
plotLongSignal = down_trend and longSignal and close < avgPrice
plotShortSignal = up_trend and shortSignal and close > avgPrice  

if plotLongSignal
    label.new(bar_index, avgPrice, "average price: " + str.tostring(avgPrice, "#.####"), style=label.style_label_up, color=color.green, textcolor=color.white )
if plotShortSignal
    label.new(bar_index, avgPrice,"average price: " + str.tostring(avgPrice, "#.####"), style=label.style_label_down, color=color.red, textcolor=color.white)




if plotLongSignal
    label.new(
         bar_index, 
         close, 
         "LONG :" + str.tostring(longAddPercent, "#.####") + "%, Close: " + str.tostring(close, "#.####"), 
         style=label.style_label_up, 
         color=color.new(color.green, 80), 
         textcolor=color.white
         )

if plotShortSignal
    label.new(
             bar_index, 
             close, 
             "EXIT LONG :" + str.tostring(shortAddPercent, "#.####") + "%, Close: " + str.tostring(close, "#.####"), 
             style=label.style_label_down, 
             color=color.new(color.red, 80), 
             textcolor=color.white
             )


if longSignal

    avgPrice := na(avgPrice) ? close : (avgPrice + close) / 2 







  
if down_trend and longSignal
     
    strategy.entry("Long",strategy.long,qty=longAddPercent )
    
var float close_size = na

if up_trend and shortSignal 

    if strategy.position_size > 0
        close_size := strategy.position_size * (shortAddPercent/100)  
        strategy.order("Partial Close Long", strategy.short, close_size)